Risk management and the thorough understanding of the relations between financial markets and the standard theory of macroeconomics have always been among the topics most addressed by researchers, both financial mathematicians and economists. This work aims at explaining investors’ behavior...

This thesis starts with a review of the traditional portfolio theory and a discussion of its limitations. The new technique portfolio resampling is introduced, followed by two different portfolio efficiency testing methods. The final part is an empirical study of portfolio revision. A short...

This master thesis aims at estimating state price densities (SPD) via a nonparametric fit of the implied volatility smile and of its derivatives. To achieve this task, we use the local polynomial estimators and apply the empirical bias-bandwidth selector (EBBS) algorithm to determine both global...